Efficient exponential tilting with applications
From MaRDI portal
Publication:6494401
DOI10.1007/S11222-023-10374-5WikidataQ130023174 ScholiaQ130023174MaRDI QIDQ6494401FDOQ6494401
Authors: Cheng-Der Fuh, Chuan-Ju Wang
Publication date: 30 April 2024
Published in: Statistics and Computing (Search for Journal in Brave)
Recommendations
- Efficient importance sampling for events of moderate deviations with applications
- Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
- Computation of credit portfolio loss distribution by a cross entropy method
- Efficient Monte Carlo simulation via the generalized splitting method
- Some recent results in rare event estimation
Cites Work
- Stochastic simulation: Algorithms and analysis
- Quantitative risk management. Concepts, techniques and tools
- Hyperbolic distributions in finance
- Title not available (Why is that?)
- Optimal importance sampling parameter search for Lévy processes via stochastic approximation
- On optimal probabilities in stochastic coordinate descent methods
- Title not available (Why is that?)
- Importance sampling in the Monte Carlo study of sequential tests
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Exponential family techniques for the lognormal left tail
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- Importance Sampling for Bootstrap Confidence Intervals
- Importance Sampling, Large Deviations, and Differential Games
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Importance Sampling for Stochastic Simulations
- Importance sampling for portfolio credit risk
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Fast Simulation of Multifactor Portfolio Credit Risk
- Improved algorithms for rare event simulation with heavy tails
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Dominating points and the asymptotics of large deviations for random walk on \(R^ r\).
- Variance Reduction Techniques for Estimating Value-at-Risk
- State-dependent importance sampling for regularly varying random walks
- On an automatic and optimal importance sampling approach with applications in finance
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- Dynamic importance sampling for queueing networks
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- Extremum points of a convex function
- Efficient rare event simulation for heavy-tailed compound sums
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Optimizing adaptive importance sampling by stochastic approximation
- Efficient simulation of value at risk with heavy-tailed risk factors
- On the generalization of the hazard rate twisting-based simulation approach
- Title not available (Why is that?)
- Moderate deviation principles for importance sampling estimators of risk measures
- Importance sampling techniques for policy optimization
- Efficient importance sampling for events of moderate deviations with applications
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Cited In (1)
This page was built for publication: Efficient exponential tilting with applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6494401)